Asymptotic normality for traces of polynomials in independent complex Wishart matrices

Details Asymptotic normality for traces of polynomials in independent complex Wishart matrices Asymptotic normality for traces of polynomials in independent complex Wishart matrices

2007-01-11

arxiv.org/abs/math/0701318v1

Probab. Theor. Rel. Fields, 140 (2008) 383-405

Mathematics

Probability

Scientific paper

We derive a non-asymptotic expression for the moments of traces of monomials in several independent complex Wishart matrices, extending some explicit formulas available in the literature. We then deduce the explicit expression for the cumulants. From the latter, we read out the multivariate normal approximation to the traces of finite families of polynomials in independent complex Wishart matrices.

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